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- Tue Jul 05, 2016 10:12 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 435022
Re: DCCGARCH11
Hey, So right now I am estimating bivariate dcc garch (return in 2 indices such as s&p500 and klse). Some of the paper that I read, define the mean equation such: r_t=γ_0 + γ_1 r_(t-1)+ γ_2 r_(t-1)^us + ε_t ( I attached the paper's method and result) , it uses ar(1) process in the mean equation ...